1 citations · 2 across the 6 of their papers we have counts for
9 papers
The Convergence Rate of Stochastic Tracking with Application to Optimal Execution
Marcel Nutz, Moritz Voss
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-as…
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
Eduardo Abi Jaber, Eyal Neuman, Moritz Voß
We consider a general class of finite-player stochastic games with mean-field interaction, in which the linear-quadratic cost functional includes linear operators acting on control…
On Parametric Optimal Execution and Machine Learning Surrogates
Tao Chen, Mike Ludkovski, Moritz Voß
We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact w…
Trading with the Crowd
Eyal Neuman, Moritz Voß
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence o…
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Eyal Neuman, Moritz Voß
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We fo…
A two-player portfolio tracking game
Moritz Voß
We study the competition of two strategic agents for liquidity in the benchmark portfolio tracking setup of Bank, Soner, Voß (2017). Specifically, both agents track their own stoch…
Optimal investment with transient price impact
Peter Bank, Moritz Voß
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provid…
Linear quadratic stochastic control problems with stochastic terminal constraint
Peter Bank, Moritz Voß
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not neces…
Hedging with Temporary Price Impact
Peter Bank, Mete Soner, Moritz Voß
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers…